On Quantification of Borrowing of Information in Hierarchical Bayesian Models

• URL: http://arxiv.org/abs/2509.17301v1
• Date: Mon, 22 Sep 2025 00:48:27 GMT
• Title: On Quantification of Borrowing of Information in Hierarchical Bayesian Models
• Authors: Prasenjit Ghosh, Anirban Bhattacharya, Debdeep Pati,
• Abstract summary: We investigate the role of shared hyper parameters in a hierarchical Bayesian model.<n>We show that the model with a deeper hierarchy tends to outperform the nested model.<n>These findings have significant implications for Bayesian modeling.
• Score: 2.842028685390757
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this work, we offer a thorough analytical investigation into the role of shared hyperparameters in a hierarchical Bayesian model, examining their impact on information borrowing and posterior inference. Our approach is rooted in a non-asymptotic framework, where observations are drawn from a mixed-effects model, and a Gaussian distribution is assumed for the true effect generator. We consider a nested hierarchical prior distribution model to capture these effects and use the posterior means for Bayesian estimation. To quantify the effect of information borrowing, we propose an integrated risk measure relative to the true data-generating distribution. Our analysis reveals that the Bayes estimator for the model with a deeper hierarchy performs better, provided that the unknown random effects are correlated through a compound symmetric structure. Our work also identifies necessary and sufficient conditions for this model to outperform the one nested within it. We further obtain sufficient conditions when the correlation is perturbed. Our study suggests that the model with a deeper hierarchy tends to outperform the nested model unless the true data-generating distribution favors sufficiently independent groups. These findings have significant implications for Bayesian modeling, and we believe they will be of interest to researchers across a wide range of fields.

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